def test_update_portfolio_home(home_currency: str, pair: Pair, exec_price: str,
units: str, equity: str, exp_balance: str, exp_upl: str,
exp_equity: str, TickerMock1: Ticker, TickerMock2: Ticker) -> None:
port = Portfolio(TickerMock1, Queue(), Queue(), home_currency,
["GBPUSD", "EURUSD", "USDJPY"], Decimal(equity))
port.execute_fill(FillEvent(
ref='ref123',
pair=pair,
time=pd.Timestamp('2020-07-08 21:56:00'),
units=Decimal(units),
price=Decimal(exec_price),
status='filled'
))
for _pair in ['USDJPY']:
bid = TickerMock2.prices[_pair]['bid']
ask = TickerMock2.prices[_pair]['ask']
TickerMock1.prices[_pair]["bid"] = bid
TickerMock1.prices[_pair]["ask"] = ask
# Create decimalised prices for inverted pair
inv_pair, inv_bid, inv_ask = TickerMock2.invert_prices(_pair, bid, ask)
TickerMock1.prices[inv_pair]["bid"] = inv_bid
TickerMock1.prices[inv_pair]["ask"] = inv_ask
port.update_portfolio(TickEvent(pair, pd.Timestamp('2020-07-08 21:56:00'),
Decimal('111'), Decimal('222')))
assert port.balance == Decimal(exp_balance)
assert port.upl == Decimal(exp_upl)
assert port.equity == Decimal(exp_equity)
def test_invert_prices(pair: str, bid: Decimal, ask: Decimal, return_pair: str,
return_bid: Decimal, return_ask: Decimal) -> None:
""" invert_prices should return inverted pair, bid and ask prices"""
pairs = ['USDJPY', 'GBPUSD']
ticker = Ticker(pairs)
inv_pair, inv_bid, inv_ask = ticker.invert_prices(pair, bid, ask)
assert inv_pair == return_pair
assert inv_bid == return_bid
assert inv_ask == return_ask
def TickerMock2() -> Ticker:
_pairs = ["GBPUSD", "EURUSD", "USDJPY"]
_prices = {
"GBPUSD": {"bid": Decimal("1.2541"), "ask": Decimal("1.2543")},
"USDJPY": {"bid": Decimal("107.25"), "ask": Decimal("107.80")},
}
tm = Ticker(_pairs)
# Create decimalaised prices for trade pair
for pair, price in _prices.items():
_bid, _ask = price['bid'], price['ask']
tm.prices[pair]["bid"] = _bid
tm.prices[pair]["ask"] = _ask
# Create decimalised prices for inverted pair
inv_pair, inv_bid, inv_ask = tm.invert_prices(pair, _bid, _ask)
tm.prices[inv_pair]["bid"] = inv_bid
tm.prices[inv_pair]["ask"] = inv_ask
return tm